Regime-Switching Factor Models in Which the Number of Factors Defines the Regime

We develop regime-switching factor models in which the number of factors determines the operative economic regime. To illustrate the proposed methodology, we analyze the covariance structure of a widely-studied set of 25 equity portfolios

MoreLess

Year of publication:	2011
Authors:	Cordis, Adriana S. ; Kirby, Chris
Publisher:	[S.l.] : SSRN
Subject:	Faktorenanalyse \| Factor analysis \| Theorie \| Theory \| Markov-Kette \| Markov chain
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 25, 2010 erstellt Volltext nicht verfügbar
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014183005